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Oct 15

Bayesian Copula Selection

Posted by abiao at 19:36 | Code » Matlab | Comments(0) | Reads(8367)
Matlab implementation of a method to select the 'best' copula among a subset of copula families.

Based on theory published in : Huard, D., G. Évin, A.-C. Favre (2006), Bayesian Copula Selection, Computational Statistics and Data Analysis, COMSTA3137, vol. 51 (2), 809-822.

http://code.google.com/p/copula/


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